DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Assets
Gross Amounts	$ 331,395	$ 171,134	[1]
Liabilities
Gross Amounts	912,134	1,033,345	[1]
Futures contracts, at fair value
Assets
Gross Amounts	199,728	506
Financial Instruments	(108)	(506)
Cash Collateral	0	0
Net Amounts	199,620	0
Liabilities
Gross Amounts	108	19,413
Financial Instruments	(108)	(506)
Cash Collateral	0	(18,907)
Net Amounts	0	0
Purchase commitments
Assets
Gross Amounts	3,702	49
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	3,702	49
Liabilities
Gross Amounts	2,263
Financial Instruments	0
Cash Collateral	0
Net Amounts	2,263
Credit derivatives
Assets
Gross Amounts	2,683
Financial Instruments	0
Cash Collateral	0
Net Amounts	2,683
Interest rate swaptions, at fair value
Assets
Gross Amounts	123,506	74,470
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	123,506	74,470
TBA derivatives, at fair value
Assets
Gross Amounts	1,776	96,109
Financial Instruments	(1,659)	0
Cash Collateral	0	0
Net Amounts	117	96,109
Liabilities
Gross Amounts	155,515
Financial Instruments	(1,659)
Cash Collateral	(2,060)
Net Amounts	151,796
Credit derivatives
Liabilities
Gross Amounts		7,440
Financial Instruments		0
Cash Collateral		(7,440)
Net Amounts		0
Interest rate swaps, at fair value
Liabilities
Gross Amounts	754,248	1,006,492
Financial Instruments	0	0
Cash Collateral	(78,167)	(108,757)
Net Amounts	$ 676,081	$ 897,735

[1] (1)Derived from the audited consolidated financial statements at December 31, 2020.